Two-assets portfolio with trapezoidal oriented fuzzy present values

Anna Łyczkowska-Hanćkowiak , Krzysztof Piasecki

Abstract

The main goal of thispaper is to present characteristics of a two-asset portfolio for thecase when composing securities areevaluated by imprecise present valuesmodelled by an orderedtrapezoidal fuzzy number. The future value is determinedas random variable under the Gaussian distribution of probability. The expected discount factor is defined for the caseof simple return rate. Obtained model is an extension of the Markowitz theory to thecase of securities present values given by ordered fuzzy numbers. Throughout the analysis a fuzzy expected discount factor and imprecision risk assessments are calculated. Thanks to that,there arises a possibility to describe the impactof portfolio diversification on imprecision risk. Presented theoretical resultsare supported by numerical example
Author Anna Łyczkowska-Hanćkowiak - Wyższa Szkoła Bankowa w Poznaniu
Anna Łyczkowska-Hanćkowiak,,
-
, Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
Pages306-311
Publication size in sheets0.5
Book Váchova Lucie , Kratochvíl Václav (eds.): 36th International Conference Mathematical Methods in Economics MME 2018 : Conference Proceedings, 2018, MatfyzPress, Publishing House of the Faculty of Mathematics and Physics Charles University, ISBN 978-80-7378-371, [978-80-7378-372], 668 p.
Keywords in Englishexcepted discount factor, ordered fuzzy number, portfolio, present value
URL https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf
Languageen angielski
Score (nominal)5
Score sourcepublisherList
ScoreMinisterial score = 5.0, 12-03-2020, ChapterFromConference
Publication indicators WoS Citations = 0
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